What you need to do is get a few containers large enough to hold lots of crickets. Moisten some soil and place it in a dish and put this dish into the container containing about 6 to a dozen crickets. One female cricket can lay upwards of 500 eggs so the number of baby crickets you need will determine how many you add.
After about a week, remove the dish of soil (remember to keep it moist and warm) and place it into another container. In about 2 weeks, you will start to see the baby crickets. Keep cycling dishes of soil into new containers so that you have a series of cricket containers at various stages so that the proper size crickets are always available for you to harvest.
As you can see, even if you only kept one breeding female (and male) cricket you will have 500 crickets at each stage. This is a lot of crickets. For someone who doesn't have a very large insectivous animal collection, it is usually more cost effective to buy the crickets as you need them. Crickets need food, warmth, and shelter and this can make the cost of your crickets more than the <3 cent crickets you can buy in 1000 cricket lots from the pet store.